SPX dealer positioning, the week of August 1, 2022
Aug 1 to Aug 5 · 5 of 5 days traded · each session free to replay
| Day | Open | Close | Change | Range | Close to close | Flip at the close | Gamma at the close |
|---|---|---|---|---|---|---|---|
| Monday Aug 1 | 4105.4 | 4120.0 | +14.6 +0.36% | 47.5 | -11.1 | 4121.9 crossed 19x | negative |
| Tuesday Aug 2 | 4100.6 | 4093.2 | -7.5 -0.18% | 55.7 | -26.9 | 4110.1 crossed 18x | negative |
| Wednesday Aug 3 | 4115.3 | 4155.3 | +39.9 +0.97% | 54.9 | +62.1 | 4145.1 not crossed | positive |
| Thursday Aug 4 | 4153.2 | 4151.5 | -1.7 -0.04% | 24.0 | -3.8 | 4151.3 crossed 28x | positive |
| Friday Aug 5 | 4111.1 | 4144.8 | +33.7 +0.82% | 39.4 | -6.7 | 4132.9 crossed 16x | positive |
Week: +13.6 points (+0.33%), close to close from 2022-07-29.
Ranges: 221.6 points over 5 sessions, the largest 55.7 on 2022-08-02.
Zero-gamma flip at the close: 4121.9 on the first session, 4132.9 on the last (+11.0 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Aug 1
10:00ISM manufacturing PMI
spot +7.3 in the 15 minutes after 10:00; net gamma short (was long) - Aug 1
14:00Senior loan officer survey (SLOOS)
spot +6.8 in the 15 minutes after 14:00; net gamma short - Aug 2
10:00JOLTS job openings
Openings: actual 11.28M / prior 11.54M
spot +0.5 in the 15 minutes after 10:00; flip 4070.6 → 4069.5; net gamma long - Aug 3
08:30Durable goods orders
Durable goods m/m: actual -0.1% / prior 2.2% - Aug 3
08:30Quarterly refunding statement - Aug 3
09:30VIX settlement
spot +4.4 in the 15 minutes after 09:30; net gamma long (was short) - Aug 3
10:00ISM services PMI
spot +12.6 in the 15 minutes after 10:00; flip 4152.3 → 4153.4; net gamma short - Aug 4
07:00LLY earnings - Aug 5
08:30Nonfarm payrolls · high impact
Payrolls: actual 714K / prior 434K; Unemployment rate: actual 3.5% / prior 3.6%
Prices are SPX at the minute. Change is close minus open; close to close is against the previous finished session. The zero-gamma flip is the terminal's measured flip at the close, and "crossed" counts the minutes the tape changed sides of it. Gamma at the close is where the close sat against that flip. Events are the market calendar's high and medium impact rows; the line under an in-session event is what the book did in the fifteen minutes after it, from the day's own payload. Nothing here is a forecast; see the Terms.